sudo

sudo is a program for Unix-like computer operating systems that allows users to run programs with the security privileges of another user, by default the superuser. It originally stood for “superuser do” as the older versions of sudo were designed to run commands only as the superuser. However, the later versions added support for running commands not only as the superuser but also as other (restricted) users, and thus it is also commonly expanded as “substitute user do”. Although the latter case reflects its current functionality more accurately, sudo is still often called “superuser do” since it is so often used for administrative tasks.

Using Raspbian GUI with default user pi might be not fun, but if you decided to create new user, you might have missed setting up polkit configuration to have new user in administrative authentication dialog. Here's my first Raspberry Pi guide to fix it.